I'm on the latest public beta of macOS Catalina and it's supposed to use zsh as the default shell and it even shows that it is pointing to zsh in the users settings but whenever I open a new terminal window it says:

I've personally not used MacOS Catalina. It may or may not require you to run chsh altogether as the superuser (i.e. root).

Try executing chsh -l (lowercase L) to see a list of the shells available to you.

As changing a user's shell modifies /etc/passwd, you'll only be able to modify your own user's shell if you don't run chsh with sudo or as the root user.

Running chsh interactively (i.e. Without any arguments) should then prompt you for the pathname to the shell you'd like to set as your default shell.

Additional arguments that you could use include

-l / --list-shells which displays the list of available shells located in /etc/shells. This is useful to see the full pathname of the available shells that are accepted when designating a default shell with chsh. This could be very useful in

-sshell / --shellshell , where shell is the path to the shell you wish to designate as your default shell.